Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0444
Annualized Std Dev 0.2163
Annualized Sharpe (Rf=0%) 0.2053

Row

Daily Return Statistics

Close
Observations 3275.0000
NAs 1.0000
Minimum -0.1144
Quartile 1 -0.0050
Median 0.0007
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0063
Maximum 0.1494
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0136
Skewness -0.1863
Kurtosis 11.9714

Downside Risk

Close
Semi Deviation 0.0100
Gain Deviation 0.0097
Loss Deviation 0.0112
Downside Deviation (MAR=210%) 0.0145
Downside Deviation (Rf=0%) 0.0098
Downside Deviation (0%) 0.0098
Maximum Drawdown 0.5660
Historical VaR (95%) -0.0212
Historical ES (95%) -0.0337
Modified VaR (95%) -0.0196
Modified ES (95%) -0.0268
From Trough To Depth Length To Trough Recovery
2007-12-14 2009-03-06 2013-09-18 -0.5660 1429 303 1126
2020-02-13 2020-03-23 2020-08-26 -0.3482 136 27 109
2018-01-29 2018-12-24 2019-10-24 -0.2041 426 216 210
2015-05-22 2016-02-11 2017-02-21 -0.1995 419 179 240
2014-07-07 2014-10-15 2015-04-15 -0.1125 194 71 123

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA NA NA -0.5 -0.5
2008 1.1 -2.8 2.3 0.9 0.7 -0.9 -1.3 -0.3 -0.1 2.8 -7.1 3.4 -1.9
2009 -3 -2.1 2.6 2.2 3.1 2.1 0.9 -1.9 -1.1 -2.8 1.9 0.2 1.9
2010 1.6 0.7 0.8 -1.4 -0.6 -0.1 0.1 3.3 0.5 -0.6 2.3 1 7.8
2011 2.3 -1.5 0.3 0.6 -2.2 1.6 -0.3 0 -1.4 -2.9 0.4 0.8 -2.3
2012 1.1 -0.3 0 0.2 -2.4 4.6 0.1 0.7 0.6 0.4 0.1 0.1 5.2
2013 0.4 -0.9 -0.6 -0.6 -1.4 0.6 1.1 -0.3 1 -0.5 0 0.4 -0.7
2014 -0.5 0.3 0.4 0.1 0.8 0.2 0.2 0.2 -1.1 0.9 -0.8 -0.7 0
2015 -1.1 -0.3 -0.3 0.5 -0.4 0 1.8 -3.3 -0.1 -0.1 1 -0.9 -3.2
2016 0.8 1.8 -0.6 -0.8 -0.1 0 0.1 0.3 -0.1 -0.2 -0.8 -0.1 0.2
2017 0.3 1.3 0 -0.1 0.4 0.1 0.4 0.1 0.4 0.1 -0.4 -0.6 2.2
2018 -0.2 -1.9 1 -0.6 0.8 0.5 0.5 -0.6 0.4 0.6 -0.7 0.3 0
2019 -0.1 0.7 1.1 -0.7 -1.1 1.1 -1.4 0.6 -1.1 1.9 -0.2 0.2 1.1
2020 -1.5 -1.4 -4.2 -2.9 1.1 0.5 0.1 0.2 0.6 -0.5 1.2 0 -6.7
2021 1.8 1.7 -0.2 NA NA NA NA NA NA NA NA NA 3.3

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart